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La théorie des anticipations de la structure par terme : test à partir des titres publics français

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  • Jondeau, E.
  • Ricart, R.

Abstract

This paper focuses on the expectations hypothesis of the term structure on long-term government bonds. Standard tests (based on the relationships between the change in the long-term rate and the spread and between the change in the short-term rate and the spread) lead to a puzzle close to the one obtained by Campbell and Shiller (1991) using US data. An approach based on stationarity of excess returns and error-correction models gives more details on these results: the expectations hypothesis is widely accepted when holding return is considered whereas it is systematically rejected when rollover return is considered.

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File URL: http://www.banque-france.fr/uploads/tx_bdfdocumentstravail/ner45.pdf
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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 45.

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Length: 20 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:bfr:banfra:45

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Related research

Keywords: Term structure of interest rates ; Expectations hypothesis ; Cointegration ; Error-correction model.;

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Cited by:
  1. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux d’intérêt en France," Économie et Prévision, Programme National Persée, vol. 163(2), pages 117-129.

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